, then long-run risk generates insufficient exchange rate volatility. A long-run risk model with recursive-preferences can … generate realistic exchange rate volatility, if all agents efficiently share their consumption risk by trading in complete … volatility …

in consumption is important to duplicate the exchange rate volatility and exchange rate disconnect documented in the data … volatility while leaving the volatility of real macroeconomic variables, such as GDP, almost untouched. The model predicts the … volatility of the real exchange rate relative to that of GDP increases with the extent of home bias. This relation is strongly …

documented in literature, including high persistence, and excess volatility and co-movement compared with real interest rate …

in explaining the exchange rate disconnect, excess volatility, and the uncovered interest parity (UIP) puzzles. We embed … vs. volatility shocks and linear vs. higher-order approximations, we find that shocks to macroeconomic fundamentals …

that public expenditure innovation has a significant depreciating trend impact on exchange rate volatility, and its impact … volatility does not rely on the direction of the innovation, it varies according to the state of the economy. Public expenditure … innovation has a depreciating trend impact on exchange rate volatility in the upturn state, and mostly an appreciating trend …

post-Bretton Woods US dollar-pound sterling exchange rate and show that the excess volatility of the exchange rate return …